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Rodriguez, Marius del Giudice. "Essays on financial analysts' forecasts." Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2006. http://wwwlib.umi.com/cr/ucsd/fullcit?p3222052.
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Thesis (Ph. D.)--University of California, San Diego, 2006.Title from first page of PDF file (viewed September 20, 2006). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 125-132).
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Ho, Quoc Tuan Quoc. "Three essays on financial analysts' stock price forecasts." Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/three-essays-on-financial-analysts-stock-price-forecasts(1c0c8222-b05d-4435-bdc6-d1ad28fff437).html.
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In this thesis, I study three aspects of sell-side analysts’ stock price forecasts, henceforth target prices: analyst teams’ target price forecast characteristics, analysts’ use of information to revise target prices, and determinants of target price disagreement between analysts.The first essay studies the target price forecast performance of team analysts in the UK and finds that teams issue timelier but not less accurate target prices. Unlike evidence from previous studies, my findings suggest that analyst teamwork may improve forecast timeliness without sacrificing forecast accuracy. However, market reactions to team target price revisions are not significantly different from those to individual analyst target price revisions, suggesting that although target prices issued by analyst teams are timelier and not less accurate than those of individual analysts, investors do not consider analyst team target prices more informative. I conjecture that analysts may work in teams to meet the demand to cover more companies while maintaining the quality of research by individual team members rather than to issue more informative reports.In the second essay, I study how analysts revise their target prices in response to new information implicit in recent market returns, stock excess returns and other analysts’ target price revisions. The results suggest that analysts’ target price revisions are significantly influenced by market returns, stock excess return and other analysts’ target price revisions. I also find that the correlation between target price revisions and stock excess returns is significantly higher when the news implicit in these returns is bad rather than good. I conjecture that analysts discover more bad news from the information in stock excess returns because firms tend to withhold bad news, disclosing it only when it becomes inevitable, while they disclose good news early. Using a new measure of bad to good news concentration, I show that the asymmetric responsiveness of target price revisions to positive and negative stock excess returns is significant for firms with the highest concentration of bad news but is insignificant for firms with the lowest concentration of bad news. I argue that firms with the highest concentration of bad news are more likely to withhold and accumulate bad news. The findings, therefore, support my hypothesis that analysts discover more bad news than good news from stock returns because firms tend to withhold bad news, disclosing it only when it is inevitable. The third essay examines the determinants of analyst target price disagreement. I find that while disagreement in short-term earnings and in long-term earnings growth forecasts are significant determinants, recent 12-month idiosyncratic return volatility has the strongest explanatory power for target price disagreement. The findings suggest that target price disagreement is driven not only by analyst disagreement about short-term earnings and long-term earnings growth, but also by differences in analysts’ opinions about the impact of recent firm-specific events on value drivers beyond short-term future earnings and long-term growth, which are eventually reflected in past idiosyncratic return volatility.
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Koch, Adam Stuart. "Financial distress and the credibility of management earnings forecasts /." Digital version accessible at:, 1999. http://wwwlib.umi.com/cr/utexas/main.
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Kornprobst, Antoine. "Financial crisis forecasts and applications to systematic trading strategies." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E067/document.
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Cette thèse, constituée de trois papiers de recherche, est organisée autour de la construction d’indicateurs de crises financières dont les signaux sont ensuite utilisés pour l’élaboration de stratégies de trading algorithmique. Le premier papier traite de l’établissement d’un cadre de travail permettant la construction des indicateurs de crises financière. Le pouvoir de prédiction de nos indicateurs est ensuite démontré en utilisant l’un d’eux pour construire une stratégie de type protective-put active qui est capable de faire mieux en termes de performances qu’une stratégie passive ou, la plupart du temps, que de multiples réalisations d’une stratégie aléatoire. Le second papier va plus loin dans l’application de nos indicateurs de crises à la création de stratégies de trading algorithmique en utilisant le signal combiné d’un grand nombre de nos indicateurs pour gouverner la composition d’un portefeuille constitué d’un mélange de cash et de titres d’un ETF répliquant un indice equity comme le SP500. Enfin, dans le troisième papier, nous construisons des indicateurs de crises financières en utilisant une approche complètement différente. En étudiant l’évolution dynamique de la distribution des spreads des composantes d’un indice CDS tel que l’ITRAXXX Europe 125, une bande de Bollinger est construite autour de la fonction de répartition de la distribution empirique des spreads, exprimée sur une base de deux distributions log-normales choisies à l’avance. Le passage par la fonction de répartition empirique de la frontière haute ou de la frontière basse de cette bande de Bollinger est interprétée en termes de risque et permet de produire un signal de tradingThis thesis is constituted of three research papers and is articulated around the construction of financial crisis indicators, which produce signals, which are then applied to devise successful systematic trading strategies. The first paper deals with the establishment of a framework for the construction of our financial crisis indicators. Their predictive power is then demonstrated by using one of them to build an active protective-put strategy, which is able to beat in terms of performance a passive strategy as well as, most of the time, multiple paths of a random strategy. The second paper goes further in the application of our financial crisis indicators to the elaboration of systematic treading strategies by using the aggregated signal produce by many of our indicators to govern a portfolio constituted of a mix of cash and ETF shares, replicating an equity index like the SP500. Finally, in the third paper, we build financial crisis indicators by using a completely different approach. By studying the dynamics of the evolution of the distribution of the spreads of the components of a CDS index like the ITRAXX Europe 125, a Bollinger band is built around the empirical cumulative distribution function of the distribution of the spreads, fitted on a basis constituted of two lognormal distributions, which have been chosen beforehand. The crossing by the empirical cumulative distribution function of either the upper or lower boundary of this Bollinger band is then interpreted in terms of risk and enables us to construct a trading signal
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Tian, Shu. "An evaluation of financial analysts' earnings forecasts across nine Asian countries." Thesis, University of Macau, 2005. http://umaclib3.umac.mo/record=b1636260.
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Constantinou, Constantina Philippou. "The relative informativeness of financial analysts' earnings forecasts and stock recommendations." Thesis, University of Manchester, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.488446.
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Analysts are a major source of information in equity markets. Therefore, their earnings forecasts and stock recommendations are likely to be important for understanding how equity markets work. Analysts' earnings forecasts arc generally, optimistic and their buy/hold/sell recommendations influence stock prices. However, whether (and how) they underreact or overreact to information Is not yet clear. The present thesis discusses tile underreaction/overreaction issues and examines the information contents of analysts' recommendations.
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McEwen, Ruth Ann. "An empirical assessment of error metrics applied to analysts' forecasts of earning." Diss., Georgia Institute of Technology, 1986. http://hdl.handle.net/1853/29352.
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Hennessey, Sean Michael. "The properties of revision of earnings forecasts by financial analysts : Canadian evidence." Thesis, Lancaster University, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.358104.
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Baher, Oussama. "The nature, causes and consequences of financial analysts' forecasts in the UK." Thesis, Middlesex University, 2018. http://eprints.mdx.ac.uk/24163/.
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This thesis consists of three empirical chapters that investigate the nature, reasons and consequences of financial analysts’ forecasts in London Stock Exchange. The first empirical chapter examines the rationality and accuracy of financial analysts’ forecasts. Results show that analyst forecasts are overall optimistic, but not as extreme as the literature suggests. However, analysts seem to converge to a more rational position the closer they get to the announcement date. Despite no evidence of relationship is found between forecast error and prior year change in earnings per share, analysts are believed to be systematically revising their forecasts downwards as the time approaches the earnings’ announcement date. The second empirical chapter attempts to study the factors that contribute to the forecast error and in particular earnings management. Results show that earnings management positively affects the magnitude of the forecast error, that is, when earnings are manipulated the forecast error appears to be bigger. However, this positive impact appears to be driven by accruals earnings management and not by real earnings management. Moreover, forecasts seem to be more optimistic for companies that manage their earnings downwards through accruals. These findings reveal that analysts may not be as biased as the literature claim, instead, they are probably victims of earnings management. The third empirical chapter examines whether financial analysts’ forecast is a major component of market sentiment and tests how this contribution can affect cross sectional returns. Results confirm that analysts releasing higher than average earnings per share forecasts lead to higher sentiment levels. Inconsistent with previous literature, short term stock returns are significantly positively affected by sentiment levels, but growth stocks appear to be more sensitive to shifts in sentiment than value stocks.
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Stanley, Spencer, and William Trainor. "FORECASTS AND IMPLICATIONS USING VIX OPTIONS." Digital Commons @ East Tennessee State University, 2021. https://dc.etsu.edu/honors/619.
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This study examines the Chicago Board Option Exchange (CBOE) Volatility Index (VIX) which is the implied volatility calculated from short-term option prices on the Standards & Poor’s 500 stock index (S&P 500). Findings suggest VIX overestimates average volatility by approximately 3% but explains 55% of S&P 500’s proceeding month’s volatility. The implied volatility (IV) from options on the VIX add additional explanatory power for the S&P’s 500 proceeding kurtosis values (a measure of tail risk). The VIX option’s volatility smirks did not add additional explanatory power for explaining the S&P 500 volatility or kurtosis. A simple trading rule based on buying the S&P 500 whether the VIX, IV from the options on the VIX, and the VIX option’s volatility smirk decline over the preceding month results in an additional 0.96% return in the following month. However, this only occurs approximately 10% of the time and does not outperform a simple buy-and-hold strategy as the strategy has the investor out of the market the majority of the time.
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Lund-Jensen, Kasper. "Essays on forecast evaluation and financial econometrics." Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:01fb58e7-c857-43ff-998f-7b8e928a49bf.
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This thesis consists of three papers that makes independent contributions to the fields of forecast evaluation and financial econometrics. As such, the papers, chapter 1-3, can be read independently of each other. In Chapter 1, “Inferring an agent’s loss function based on a term structure of forecasts”, we provide conditions for identification, estimation and inference of an agent’s loss function based on an observed term structure of point forecasts. The loss function specification is flexible as we allow the preferences to be both asymmetric and to vary non-linearly across the forecast horizon. In addition, we introduce a novel forecast rationality test based on the estimated loss function. We employ the approach to analyse the U.S. Government’s preferences over budget surplus forecast errors. Interestingly, we find that it is relatively more costly for the government to underestimate the budget surplus and that this asymmetry is stronger at long forecast horizons. In Chapter 2, “Monitoring Systemic Risk”, we define systemic risk as the conditional probability of a systemic banking crisis. This conditional probability is modelled in a fixed effect binary response panel-model framework that allows for cross-sectional dependence (e.g. due to contagion effects). In the empirical application we identify several risk factors and it is shown that the level of systemic risk contains a predictable component which varies through time. Furthermore, we illustrate how the forecasts of systemic risk map into dynamic policy thresholds in this framework. Finally, by conducting a pseudo out-of-sample exercise we find that the systemic risk estimates provided reliable early-warning signals ahead of the recent financial crisis for several economies. Finally, in Chapter 3, “Equity Premium Predictability”, we reassess the evidence of out-of- sample equity premium predictability. The empirical finance literature has identified several financial variables that appear to predict the equity premium in-sample. However, Welch & Goyal (2008) find that none of these variables have any predictive power out-of-sample. We show that the equity premium is predictable out-of-sample once you impose certain shrinkage restrictions on the model parameters. The approach is motivated by the observation that many of the proposed financial variables can be characterised as ’weak predictors’ and this suggest that a James-Stein type estimator will provide a substantial risk reduction. The out-of-sample explanatory power is small, but we show that it is, in fact, economically meaningful to an investor with time-invariant risk aversion. Using a shrinkage decomposition we also show that standard combination forecast techniques tends to ’overshrink’ the model parameters leading to suboptimal model forecasts.
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Appel, Dominik [Verfasser], and Michael [Akademischer Betreuer] Grabinski. "Managing chaos effects in long-term economic forecasts by applying the example of financial forecasts and valuation / Dominik Appel. Betreuer: Michael Grabinski." Neu-Ulm : Hochschule für Angewandte Wissenschaften Neu-Ulm, Hochschulbibliothek, 2012. http://d-nb.info/1064100511/34.
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Levinson, Lisa. "An analysis of the accuracy and determinants of earnings forecasts of companies listing on the alternative exchange of South Africa." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/11512.
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XIE, Lingmin. "How does asymmetric information relate to investment efficiency? Evidence from analysts' earnings forecasts and daily stock trading." Digital Commons @ Lingnan University, 2013. https://commons.ln.edu.hk/fin_etd/6.
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The adverse selection and agency cost theories suggest that the informational transparency of a firm can help to reduce over- or under-investment. This thesis examines how information asymmetry influences firm-level investment efficiency for companies listed in the U.S. market from 1993 to 2009. Information asymmetry is measured by the dispersion and error of the earnings forecasts made by financial analysts. I investigate how information asymmetry affects firms’ proneness to overor under-invest and the firms’ deviations from the investment levels predicted by investment opportunities. To be consistent with the prior literature, I also use the volatility of daily stock returns and yearly high-low price spreads derived from daily stock trading as alternative proxies of information asymmetry. The results show that lower information asymmetry is associated with more efficient investment. Specifically, a good information environment reduces capital investment for firms that are more prone to over-invest and increases capital investment for those that are more prone to under-invest. In addition, lower information asymmetry is also negatively associated with firm investment when the firm is over-investing and is positively associated with firm investment when the firm is under-investing The results are robust across different regression methodologies and to different estimates of the variables. My findings are consistent with the agency theories of adverse selection and principal-agent conflict.
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Schmütsch, Jan Peter [Verfasser], Markus [Gutachter] Rudolf, and Ralf [Gutachter] Fendel. "Financial analysts' forecasts : lessons from the crisis / Jan Peter Schmütsch. Gutachter: Markus Rudolf ; Ralf Fendel." Vallendar : WHU - Otto Beisheim School of Management, 2016. http://d-nb.info/1113594829/34.
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Guo, Miin Hong. "Differential earnings response coefficients to accounting information: The case of revisions of financial analysts' forecasts." Diss., The University of Arizona, 1989. http://hdl.handle.net/10150/184712.
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This dissertation extends previous studies on firms' differential earnings response coefficients. It provides further theoretical explanation and empirical evidence for the differential earnings response coefficients across firms and time. The empirical evidence found by Ball & Brown (1968) that the sign of unexpected earnings is positively correlated with the sign of market reactions is used to improve the control of measurement errors on investors' prior belief. Revisions of financial analysts' forecasts (FAFs) for firms' future earnings per share (EPS) are used as the event information. Both the impact of FAFs quality on investors' earnings belief revision and the mapping from EPS to security price are considered. Investors are assumed to be Bayesians who are homogeneous in belief. They use FAFs as information for making portfolio investment decisions. FAFs with smaller contemporary dispersion relative to the variance of investors' prior belief are considered to have higher quality. It is proposed that investors have stronger faith on the forecasts with higher information quality. A non-normative approach is used to map EPS into security prices. The market price over (expected) earnings ratio (P/E) is used as a linear approximation for the security valuation function. The major advantage of this approach is that non-earnings factors that have price effect on securities are implicitly controlled. The model predicts that ceteris paribus, the earnings response coefficient adjusted for the differential P/E is positively correlated with the quality of FAFs. Cross-sectional and time series samples of 1097 FAFs revisions from Standard & Poor's Earnings Forecaster in the years 1981 to 1985 are used in the empirical test. The empirical results are consistent with the theoretical implication. The quality of FAFs is found to be positively correlated with the P/E adjusted earnings response coefficient at one percent significance level. The results are robust across event day windows, the estimation periods for market model parameters and the price reaction measurements.
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Meng, Xiaochun. "Improving probabilistic forecasts by using intra-day data : an application to financial and temperature data." Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:d267e7e6-1428-44bc-8c4e-a622f27868ef.
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The thesis consists of three studies. The first two contribute to financial market risk modelling and the third contributes to the modelling of temperature extremes. Value at risk (VaR) is a popular measure of market risk. The first study proposes new approximate long-memory VaR models that incorporate intra-day price ranges. These models use lagged intra-day range with the feature of considering different range components calculated over different time horizons. We also investigate the impact of the market overnight return on the VaR forecasts, which has not yet been considered with the range in VaR estimation. Model estimation is performed using linear quantile regression. An empirical analysis is conducted on 18 market indices. In spite of the simplicity of the proposed methods, the empirical results show that they successfully capture the main features of the financial returns and are competitive with established benchmark methods. The empirical results also show that several of the proposed range-based VaR models, utilising both the intra-day range and the overnight returns, are able to outperform generalised autoregressive conditional heteroskedasticity (GARCH) based methods and conditional autoregressive value at risk (CAViaR) models. The second study contributes to the literature of VaR and expected shortfall (ES) forecasting. To convey information regarding potential exceedances beyond the VaR, ES has been advocated for future regulatory frameworks. However, the estimation of VaR and ES is challenging, as it requires the estimation of the tail behaviour of daily returns. Furthermore, ES is not elicitable, which means it is difficult to estimate and evaluate. In this paper, we take advantage of recent research that shows that VaR and ES are jointly elicitable, and that provides scoring functions for the joint estimation and evaluation of these two risk measures. We consider the use of intra-day data in this context. We focus on the intra-day range, which is the absolute difference between the highest and lowest intra-day log prices. In contrast to intra-day observations, the intra-day low and high are widely available for many financial assets. To alleviate the challenge of modelling extreme risk measures, we propose the use of the intra-day low series. We draw on a theoretical result for Brownian motion to show that a quantile of the daily returns can be estimated as the product of a constant term and a less extreme quantile of the intra-day low returns, which we define as the difference between the lowest log price of the day and the log closing price of the previous day. In view of this, we use estimates of the VaR and ES of the intra-day low returns to estimate the VaR and ES of the daily returns. We provide empirical support for the new proposals using daily stock index data. The third study contributes to extreme temperature forecasting, which is related to environmental risk. Understanding changes in the frequency, severity and seasonality of daily temperature extremes is important for public policy decisions regarding heat waves and cold snaps. Temperature forecasts are needed to trigger warnings, and to enable adequate preparation of public services. The uncertainty in the weather implies that forecasting daily temperature is inherently a probabilistic forecasting problem. Autoregressive moving average and GARCH (ARMA-GARCH) models have been applied to daily temperature time series to produce density forecasts. However, a heat wave is sometimes defined in terms of both the daily minimum and maximum temperature, which necessitates the generation of forecasts of the joint distribution of these two variables. We consider the modelling of the daily minimum and maximum temperature using a bivariate vector ARMA and multivariate GARCH (VARMA-MGARCH) model, with conditional dependency modelled using a dynamic copula. A useful by-product is the implicit modelling of the daily average and the diurnal temperature range, which has been used as an index of climate change. Using Spanish data recorded over a 65-year period, we find that a bivariate VARMA-MGARCH model is able to outperform univariate models in terms of the forecast accuracy of both the marginal and joint distributions.
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Hsu, Pei Hui. "Do Financial Expert Directors Affect the Incidence of Accruals Management to Meet or Beat Analyst Forecasts?" Thesis, University of Oregon, 2013. http://hdl.handle.net/1794/13220.
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Evidence that firms adjust accruals to just meet or beat analyst forecasts is pervasive. However, the implications for earnings quality are not clear. Managers can use this practice either to mislead investors, resulting in lower quality earnings, or to signal future earnings growth and thereby improve the decision usefulness of earnings. Assuming that boards are concerned about providing higher quality financial information and that they can discern the proper earnings signal, they should discourage managers from adjusting earnings to beat the analyst forecast target if such adjustment diminishes earnings quality. Consistent with this prediction, I find a significantly negative relation between the probability that a firm beats the target by adjusting accruals and the presence of at least one independent audit committee financial expert for firms with poor future performance. I also find that the negative impact of an independent financial expert on the odds of beating the target by adjusting accruals is significantly stronger for firms with poor future performance than for firms with strong future performance. These findings are consistent with financial expertise on the audit committees improving corporate governance by protecting shareholders from accruals management that reduces the decision usefulness of earnings.
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Kholmy, Khaled [Verfasser], Jürgen [Gutachter] Ernstberger, and Bernhard [Gutachter] Pellens. "Fair value accounting for financial instruments and analysts' forecasts in the financial crisis / Khaled Kholmy ; Gutachter: Jürgen Ernstberger, Bernhard Pellens ; Fakultät für Wirtschaftswissenschaft." Bochum : Ruhr-Universität Bochum, 2013. http://d-nb.info/1227707436/34.
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Kholmy, Khaled Ahmad [Verfasser], Jürgen [Gutachter] Ernstberger, and Bernhard [Gutachter] Pellens. "Fair value accounting for financial instruments and analysts' forecasts in the financial crisis / Khaled Kholmy ; Gutachter: Jürgen Ernstberger, Bernhard Pellens ; Fakultät für Wirtschaftswissenschaft." Bochum : Ruhr-Universität Bochum, 2013. http://d-nb.info/1227707436/34.
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Lam, K. P. C. "An empirical investigation of the formation of short-term earnings forecasts by financial analysts in the U.K." Thesis, University of Manchester, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.381779.
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ZHAO, Shunan. "Is the provision of more timely earnings information good for the Chinese stock market? : evidence from investor reactions to management earnings forecasts." Digital Commons @ Lingnan University, 2012. https://commons.ln.edu.hk/fin_etd/5.
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Since 2001, publicly listed companies in China have been required by the Chinese Securities and Regulatory Commission (CSRC), the Shanghai Exchange and the Shenzhen Exchange to issue management earnings forecasts when they anticipate that earnings will be negative or change substantially from the previous period. This study examines the consequences and implications of this disclosure regulation. I find that the earnings forecasts are associated with an earlier incorporation of relevant earnings information into stock prices. However, I also find evidence that is consistent with the presence of overreactions to forecasts of extreme earnings changes. My study offers a cautionary note about the policy of mandating listed firms to issue earnings forecasts in a stock market that is dominated by individual investors.
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Yu, Yin. "Essays on the Use of Earnings Dynamics as an Earnings Benchmark by Financial Market Participants." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282062083.
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Swisshelm, Beverly A. "A Comparison of the Use of Artificial Neural Networks, Fractal Time Series and Fractal Neural Networks in Financial Forecasts." NSUWorks, 2002. http://nsuworks.nova.edu/gscis_etd/870.
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Effective prediction of future financial states has been a major quest for groups ranging from national governments to individual investors. The size, diversity and complexity of financial markets make traditional statistical methods ineffective in predicting beyond a very short time frame. Alternative models using artificial neural networks and fractal time series have had better results in long-term predictions, but still do not work in all situations. This dissertation combined features of artificial neural networks and fractal time series to create a fractal neural network. Fractals exhibit repetitive patterns when a unit is broken down into its components. This similarity property was used to create a fractal neural network that could be broken out into separate, smaller neural networks. The recurring nature of the fractal pattern indicates that phenomena exhibiting repetitive patterns may be effectively modeled with fractal neural networks. Computer models of fractal time series, artificial neural networks and fractal neural networks were constructed and used to analyze and predict the exchange rate between the Deutschemark and the US Dollar and between the US dollar and the British Pound. Results confirmed that the exchange rates for 1994 to 1995 exhibit fractal patterns. Three layer artificial neural networks and fractal neural networks were constructed, trained on the 1994 data, and used to predict exchange rates for the first half of 1995. The number of correct predictions of the direction of change of the exchange rates calculated by the fractal neural network exceeded those produced by the artificial neural network for weekly Deutschemark and daily and weekly Pound exchange rates. When the predicted values were compared to actual values and used to form an investment strategy, the fractal network consistently produced a profit that exceeded that of the artificial neural network.
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Hua, Meiying. "Media Coverage of Negative Environmental, Social and Governance Issues, and Analyst Cash Flow Forecasts." Kent State University / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=kent1576678957366195.
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Liu, Xi. "Two Essays on the Sell-side Financial Analysts." Scholar Commons, 2012. http://scholarcommons.usf.edu/etd/4129.
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In the first essay titled "The Information Role of Analysts' Contrarian Revisions," I study a special group of revisions: contrarian revisions, defined as recommendation changes that are inconsistent with sizable stock price movements during the past week. I find that contrarian revisions are relatively more informative than trending revisions. In particular, contrarian revisions are associated with a both statistically and economically larger post-announcement drift. I also find contrarian downgrades are less likely to be issued by all-star analysts and analysts with more experience. After implementation of Regulation RD, the market reaction to contrarian revisions issued by all-stars significantly decreases, indicating private information contained in contrarian recommendations has declined. Overall, our results suggest analyst recommendations are important information sources for market participants.
In the second essay titled "Market Reaction to Earnings When Investors Disagree," I investigate how the divergence of opinions between individual and institutional investors affects stock price movements around public news events, specifically earnings announcements. I use a discrete static market equilibrium model to illustrate that divergence of investors' opinions has a significant impact on stock price movements around earnings announcements. Specifically, the divergence of opinion has a negative relation with the immediate market reaction but a positive relation with the subsequent stock price drift. I also investigate trading volume around earnings announcements to explore how traders respond to changes in the divergence of investors' opinions. Empirical evidence supports the model implications and indicates announcement trading volume decreases inversely to the divergence of opinions.
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Mintchik, Natalia Maksimovna. "The Effect of SFAS No. 141 and SFAS No. 142 on the Accuracy of Financial Analysts' Earnings Forecasts after Mergers." Thesis, University of North Texas, 2005. https://digital.library.unt.edu/ark:/67531/metadc4731/.
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This study examines the impact of Statements of Financial Accounting Standards No. 141 and No. 142 (hereafter SFAS 141, 142) on the characteristics of financial analysts' earnings forecasts after mergers. Specifically, I predict lower forecast errors for firms that experienced mergers after the enactment of SFAS 141, 142 than for firms that went through business combinations before those accounting changes. Study results present strong evidence that earnings forecast errors for companies involved in merging and acquisition activity decreased after the adoption of SFAS 141, 142. Test results also suggest that lower earnings forecast errors are attributable to factors specific to merging companies such as SFAS 141, 142 but not common to merging and non-merging companies. In addition, evidence implies that information in corporate annual reports of merging companies plays the critical role in this decrease of earnings forecast error. Summarily, I report that SFAS 141, 142 were effective in achieving greater transparency of financial reporting after mergers. In my complementary analysis, I also document the structure of corporate analysts' coverage in "leaders/followers" terms and conduct tests for differences in this structure: (1) across post-SFAS 141,142/pre-SFAS 141, 142 environments, and (2) between merging and non-merging firms. Although I do not identify any significant differences in coverage structure across environments, my findings suggest that lead analysts are not as accurate as followers when predicting earnings for firms actively involved in mergers. I also detect a significant interaction between the SFAS-environment code and leader/follower classification, which indicates greater improvement of lead analyst forecast accuracy in the post-SFAS 141, 142 environment relative to their followers. This interesting discovery demands future investigation and confirms the importance of financial reporting transparency for the accounting treatment of business combinations.
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Windisch, Elisabeth. "Driving electric ? : a financial assessment of electric vehicle policies in France." Thesis, Paris Est, 2013. http://www.theses.fr/2013PEST1159/document.
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Au cours des années récentes, les véhicules électriques sont revenus sur le devant de la scène des politiques publiques en matière de transport. Considérés comme un remède possible à diverses préoccupations pressantes des pouvoirs publics, ils bénéficient d'un soutien croissant de leur part. De telles mesures de soutien demeurent contestées : en effet, leur impact sur le décollage effectif des ventes, leur soutenabilité, leur utilité et leur justification sont loin d'aller de soi. Cette étude vise à éclairer l'impact des politiques publiques destinées à influencer la demande sur i) le taux de pénétration des véhicules électriques auprès des ménages français, et ii) les finances publiques. Dans un premier temps sera brossé le tableau du contexte dans lequel les véhicules électriques ont vocation à se développer. Il sera proposé un panorama large des opportunités potentielles offertes par l'introduction des véhicules électriques. Une revue internationale des politiques publiques est conduite, qui décrit les leviers de politique publique qui sont aujourd'hui actionnés en soutien au véhicule électrique de par le monde. L'accent y est mis sur les mesures destinées à agir sur la demande. Des conclusions préliminaires seront proposées sur l'efficacité de ces mesures au regard des taux observés de pénétration du véhicule électrique. Dans un deuxième temps, l'étude s'attache à évaluer le marché potentiel des véhicules électriques auprès des ménages français. L'analyse porte non seulement sur les déterminants financiers de la demande, mais aussi sur les obstacles socio-économiques à l'adoption des véhicules électriques par ces ménages. S'appuyant sur une analyse par scénarios qui permet de rendre compte des nombreuses incertitudes relatives aux évolutions à prévoir des véhicules, des coûts et des tendances de marché, une prévision du potentiel de demande à l'horizon 2023 est avancée. L'approche désagrégée qui est appliquée à partir de la base de données de l'Enquête Nationale Transports et Déplacements 2007/2008 permet d'identifier les combinaisons de instruments financiers de politique publique les plus à même de garantir certains niveaux de pénétration du véhicule électrique dans la prochaine décennie. Enfin, l'impact sur les finances publiques du remplacement d'un véhicule conventionnel par un véhicule électrique est étudié. L'analyse porte à la fois sur les phases de production et d'usage du véhicule. Le modèle d'évaluation développé à cet effet tient compte des impacts directs et indirects sur les finances publiques. Sont pris en compte les subventions directes à l'achat, les allègements fiscaux, les recettes fiscales, ainsi que les effets sur l'emploi. Les conclusions et observations tirées de l'étude permettent de formuler diverses suggestions à l'attention des constructeurs automobiles et des décideurs publics affichant la volonté de soutenir l'essor du véhicule électriqueIn recent years, electric vehicles have come to the forefront of public transport policies. They are seen as remedy for various pressing public concerns and are thus increasingly benefiting from supportive policy measures. Such measures remain contested: their impact on actual vehicle uptake rates, their sustainability, usefulness and justification are far from being self-evident. This study aims at uncovering the effect of financial demand-side public policy measures on i) the uptake rate of electric vehicles among private households in France, and ii) the public budget. First, the context within which electric vehicles are to evolve is sketched. A comprehensive overview of the potential opportunities that come with the introduction of electric vehicles is given. An international policy review depicts public policy levers that are currently deployed in order to support the uptake of electric vehicles. A focus is put on financial demand-side measures. Preliminary conclusions on their effectiveness with regards to observed electric vehicle uptake rates in the various countries reviewed are drawn. Next, the potential market for electric vehicles among French households is explored. Besides financial aspects, socio-economic obstacles to electric vehicle uptake among private households are analysed. With the aid of scenario analysis that accounts for the many uncertainties with regards to future vehicle developments, costs and market trends, a forecast of the electric vehicles' potential up until 2023 is given. The applied disaggregate approach based on the database of the French National Transport Survey 2007/2008 allows identifying the most promising sets of financial public policy measures that are likely to guarantee certain electric vehicle uptake rates over the next decade. Lastly, the effect of replacing one conventional vehicle by one electric vehicle on the public budget is investigated. Both, vehicle manufacture and use aspects are considered. The set up valuation model hereby accounts for direct and indirect financial impacts on the public budget. These comprise direct purchase subsidies, tax breaks, and tax income, as well as effects of changing employment situations that alter the amount of social contributions and unemployment benefits .The study's findings and considerations allow for various suggestions for vehicle manufacturers and policy makers willing to support the uptake of electric vehicles. These are listed in the conclusions section which also sketches directions for further research
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Dumitrescu, Elena. "Econometric Methods for Financial Crises." Thesis, Orléans, 2012. http://www.theses.fr/2012ORLE0502/document.
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Connus sous le nom de Systèmes d’Alerte Avancés, ou Early Warning Systems (EWS), les modèles de prévision des crises financières sont appelés à jouer un rôle déterminant dans l’orientation des politiques économiques tant au niveau microéconomique qu’au niveau macroéconomique et international. Or,dans le sillage de la crise financière mondiale, des questions majeures se posent sur leur réelle capacité prédictive. Deux principales problématiques émergent dans le cadre de cette littérature : comment évaluer les capacités prédictives des EWS et comment les améliorer ?Cette thèse d’économétrie appliquée vise à proposer (i) une méthode d’évaluation systématique des capacités prédictives des EWS et (ii) de nouvelles spécifications d’EWS visant à améliorer leurs performances. Ce travail comporte quatre chapitres. Le premier propose un test original d’évaluation des prévisions par intervalles de confiance fondé sur l’hypothèse de distribution binomiale du processus de violations. Le deuxième chapitre propose une stratégie d’évaluation économétrique des capacités prédictives des EWS. Nous montrons que cette évaluation doit être fondée sur la détermination d’un seuil optimal sur les probabilités prévues d’apparition des crises ainsi que sur la comparaison des modèles.Le troisième chapitre révèle que la dynamique des crises (la persistance) est un élément essentiel de la spécification économétrique des EWS. Les résultats montrent en particulier que les modèles de type logit dynamiques présentent de bien meilleurs capacités prédictives que les modèles statiques et que les modèles de type Markoviens. Enfin, dans le quatrième chapitre nous proposons un modèle original de type probit dynamique multivarié qui permet d’analyser les schémas de causalité intervenant entre différents types crises (bancaires, de change et de dette). L’illustration empirique montre clairement que le passage à une modélisation trivariée améliore sensiblement les prévisions pour les pays qui connaissent les trois types de crisesKnown as Early Warning Systems (EWS), financial crises forecasting models play a key role in definingeconomic policies at microeconomic, macroeconomic and international level. However, in the wake ofthe global financial crisis, numerous questions with respect to their forecasting abilities have been raised,as very few signals were drawn prior to the starting of the turmoil. Two questions arise in this context:how to evaluate EWS forecasting abilities and how to improve them?The broad goal of this applied econometrics dissertation is hence (i) to propose a systematic model-free evaluation methodology for the forecasting abilities of EWS as well as (ii) to introduce new EWSspecifications with improved out-of-sample performance. This work has been concretized in four chapters.The first chapter introduces a new approach to evaluate interval forecasts which relies on the binomialdistributional assumption of the violations series. The second chapter proposes an econometric evaluationmethodology of the forecasting abilities of an EWS. We show that adequate evaluation must take intoaccount the cut-off both in the optimal crisis forecast step and in the model comparison step. The thirdchapter points out that crisis dynamics (persistence) is essential for the econometric specification of anEWS. Indeed, dynamic logit models lead to better out-of-sample forecasting probabilities than those oftheir main competitors (static model and Markov-switching one). Finally, a multivariate dynamic probitEWS is proposed in the fourth chapter to take into account the causality between different types of crises(banking, currency, sovereign debt). The empirical application shows that the trivariate model improvesforecasts for countries that underwent the three types of crises
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Lim, Seongyeon. "Essays in financial economics mental accounting and selling decisions of individual investors; analysts' reputational concerns and underreaction to public news /." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1058811557.
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Thesis (Ph. D.)--Ohio State University, 2004.Document formatted into pages; contains 106 p. Includes bibliographical references. Abstract available online via OhioLINK's ETD Center; full text release delayed at author's request until 2005 July 29.
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PARKASH, MOHINDER. "THE IMPACT OF A FIRM'S CONTRACTS AND SIZE ON THE ACCURACY, DISPERSION AND REVISIONS OF FINANCIAL ANALYSTS' FORECASTS: A THEORETICAL AND EMPIRICAL INVESTIGATION." Diss., The University of Arizona, 1987. http://hdl.handle.net/10150/184093.
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The evidence presented in this study suggests that the dispersion, accuracy and transitory component in revisions of financial analysts' forecasts (FAF) are determined by production/investment/financing decisions, accounting choices as well as firm specific characteristics including the type of control, debt to equity ratio and size of the firm. Firms with managers control (owners control), high (low) debt to equity ratio and large (small) size are hypothesized to have higher (lower) dispersion, forecast error and transitory components in revisions of FAF. These hypotheses are motivated by the contracting cost and political visibility theories. The information availability theory is included as a contrast to the political visibility hypothesis. The information availability hypothesis predicts large (small) firms to have lower (higher) dispersion, forecast error and transitory component in revisions of FAF. The regression results are sensitive to deflated and undeflated measures of the dispersion and accuracy of FAF and size of the firm. The appropriateness of the two measures of firm's size, the book value of total assets and the market value of common stock plus long-term debt, as well as the deflated and undeflated measures of dispersion and accuracy of FAF are investigated. It is concluded that deflated measures of the dispersion and forecast errors and the market value as measure of firm size are misspecified in the present context. The current year forecast revisions are assumed to consist of the transitory and permanent components. The second year forecast revisions are used to represent the long-term forecast revisions and are used as a control for the permanent component of forecast revisions. The regression results are consistent with the contracting and political visibility hypotheses. The firm specific characteristics are hypothesized to influence forecast errors and dispersion directly and indirectly through business risk and accounting policy choices. The links between firm characteristics and business risk, accounting policy choices, dispersion and forecast errors are established and path analysis is used to test these relationships. These relationships are observed to be consistent with predictions and significant.
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Rohowsky, Maximilian [Verfasser], Hans [Akademischer Betreuer] Hirth, Maik [Gutachter] Lachmann, and Hans [Gutachter] Hirth. "Earnings management to meet analysts’ forecasts: an analysis of information acquisition and financial reporting / Maximilian Rohowsky ; Gutachter: Maik Lachmann, Hans Hirth ; Betreuer: Hans Hirth." Berlin : Technische Universität Berlin, 2021. http://d-nb.info/1238141579/34.
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Mylonas, Georgios. "The impact of IFRS on the analysts' information environment : the role of accounting policies and corporate disclosure." Thesis, Loughborough University, 2016. https://dspace.lboro.ac.uk/2134/23881.
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The thesis presents the results of a study on the impact of International Financial Reporting Standards on the analysts information environment. The analysis is concentrated on the role of specific IFRSs and corporate disclosure. The effect of IFRS adoption on the information asymmetry between firms and outsiders is examined through properties of analysts earnings forecasts. A contribution to the existing academic literature is made by examining the role of goodwill, intangible assets and acquisitions before and after IFRS adoption in Europe. The results show that the IFRSs for goodwill, acquisitions and intangible assets are related to improvements in the analysts information environment. Another contribution to knowledge is made by investigating the effect of corporate disclosure quantity on the analysts information environment before and after IFRS adoption. For this purpose, a new approach and text analysis technique to assess the impact of corporate disclosure quantity is developed. This involves the creation of a new custom dictionary and the collection of an extensive set of qualitative data. The results show that corporate disclosure quantity under IFRS, is related to improvements in the analysts information environment but that there are differences in this effect across European countries. The results also demonstrate that the improvements in the accuracy of analysts earnings forecasts are related particularly to disclosure concerning financial instruments and operating segments. Overall, the findings of the thesis suggest that the adoption of IFRS resulted in an increase in the quality of reported earnings, which is likely to derive from higher comparability of financial statements, enhanced transparency and an improved analysts information environment. It is also established that fundamental differences across countries remain after IFRS adoption and that the development and harmonisation of financial reporting standards alone are not sufficient to increase the quality of financial information and decrease information asymmetry between market participants.
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Zálešáková, Renata. "Posouzení ekonomické situace společnosti a návrhy na její zlepšení." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2018. http://www.nusl.cz/ntk/nusl-377988.
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The master´s thesis is focused on the assessment of financial performance of the company using statistical methods. The theoretical part describes financial indicators, time series, regression analysis and correlation analysis. The analytical part contains the calculation of financial indicators, which are used to determine the actual financial situation of the company. Subsequently, statistical methods are used to predict future development and the aim is to detect dependence between indicators. The last third part includes suggestions for improving the current situation of the company.
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Buhr, Klaus. "Volatility, price-discovery and trading volume in Australian equity index and option markets : a dissertation presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Auckland, New Zealand." Massey University, 2009. http://hdl.handle.net/10179/1202.
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This dissertation investigates the information considerations of volatility, pricediscovery and the relationship change in volume and volatility resulting from index derivatives transactions on financial markets in Australia. The impact of information on volatility was investigated in the essay one, as volatility is a key factor for accurately pricing derivative securities. I assessed the forecast accuracy, unbiasedness and information content of volatility forecasts, based on implied volatility and conditional volatility models for the S&P/ASX 200 Index Options market in Australia. The conditional volatility models produce the most accurate forecasts and are robust when forecasting into short time horizons. Essay two, investigates the information content of the index and option markets in the price-discovery process. Based on the above volatility results, the long-run equilibrium relationship between the share price index and the implied price of the share-price-index option was investigated. Causality was determined to show which market leads the other. Information share measures were used to gauge the contribution of the share price index and index option markets to the price-discovery process. Unambiguous evidence shows the index market leads the options market and the former contributes more to price-discovery than the latter. In essay three, I investigate the dynamic relationship between the future price volatility of the S&P/ASX 200 Index and the trading volume of the S&P/ASX 200 Index Options to explore the informational role of option volume in predicting price volatility. I found the contemporaneous call options volume have a significant strong positive feedback effect on the implied volatility, but the contemporaneous feedback effect of volume on the TARCH volatility is insignificant. The contemporaneous feedback effects from the implied volatility and the TARCH volatility to the call options volume are positive, significant and strong.
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Boissin, Romain. "La couverture des introductions en bourse par les analystes financiers : une comparaison internationale." Thesis, Montpellier 1, 2011. http://www.theses.fr/2011MON10011/document.
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Cette thèse s'intéresse au rôle des analystes financiers lors de la couverture des introductions en bourse dans un contexte international. Nous traitons de la valeur informationnelle des couvertures des analystes et de leur conséquence sur la performance à long terme des entreprises nouvellement introduites en bourse. Nous examinons si les recommandations des analystes financiers permettent de réduire le comportement irrationnel des investisseurs en situation de forte incertitude. Nous espérons qu'en réduisant les asymétries d'informations, les analystes financiers aident les investisseurs à mieux cibler la valeur de l'IPO. Cette thèse s'articule autour de deux parties : la première est consacrée au positionnement théorique et à nos hypothèses de recherche ; la seconde se focalise sur la vérification empirique d'un échantillon d'IPOs internationales (Etats-Unis, Angleterre, Allemagne et France) sur la période 1991 à 2005. Les résultats révèlent une sous performance des IPOs plus sévères pour les orphelines (sans couverture des analystes) que pour les non orphelines. Il apparaît que la couverture des analystes est importante pour les IPOs mais que le marché n'en perçoit pas toute la valeur. D'autres analyses soulignent que cette meilleure performance des non orphelines provient du nombre élevé de couvertures. Nous établissons que les recommandations des analystes sont significativement reliées à la performance à long terme des IPOs. Ainsi, nous vérifions le rôle crucial des analystes financiers dans la production et l'interprétation des informationsThis thesis explores the role of financial analysts' coverage on IPOs in an international context. We deal with the informational value of research coverage and the consequence on long run performance of newly public firms. We examine whether financial analyst recommendations allow alleviating the irrational investors' behaviour in the context of strong uncertainty. We expect that by reducing the information asymmetry, financial analyst recommendations help investors to define progressively the true value of the IPO. The thesis is organized in two main parts: the first part presents a survey of literature and define research hypothesis. The second part consists in an empirical validation of an international sample of IPOs (US, United Kingdom, Germany and France) over the 1991-2005 period. The results reveal that long run underperformance is much severe for orphans' IPOs (without financial recommendation) than non orphans' IPOs. The evidence suggests that analyst coverage is indeed important to issuing firm but the market do not fully incorporate the perceived value of this coverage. Further analysis reveals that this outperformance by non orphan stems from high coverage. We establish that analyst recommendations are significantly related to long run performance of IPOs. Hence, we corroborate the crucial role of financial analysts in producing and interpreting IPOs' financial releases
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Herčková, Simona. "Posouzení výkonnosti firmy pomocí statistických metod." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-241173.
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The master’s thesis deals with the assessment of the financial performance of the company using statistical methods. The theoretical part describes the issues necessary for the practical part, financial indicators, time series, regression analysis and correlation analysis. In the practical part of the work is a calculation of selected financial indicators, then statistical methods are used to predict future developments and to detect dependencies between the indexes. The last section contains suggestions for improving the current situation.
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Dobler, Michael. "Credibility of managerial forecast disclosure in market and regulated settings." Inderscience Publishers, 2008. https://tud.qucosa.de/id/qucosa%3A36510.
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This paper discusses the ability of models on cheap talk, and of audit and liability regulations, to provide analytically-based assessment of credibility of management forecast disclosure in market and regulated settings. While credibility is linked to restrictive conditions in pure market settings, regulatory enforcement does not necessarily contribute to forecast credibility. Key findings imply that ex ante approaches, including audit and tort liability in general, as well as partly verifiable disclosures supplementing the forecast and safe harbour provisions in particular can contribute to forecast credibility. Overall results suggest that the usefulness of managerial forecast disclosure should not be overestimated, as neither market nor regulatory mechanisms can overcome the problems related to non-verifiability.
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Personne, Karl, and Sandra Pääjärvi. "Financial Analysts' Forecast Precision : Swedish Evidence." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202532.
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The future is uncertain. We therefore make predictions and forecasts of the future in order to be able to plan and react to future events. For this purpose, financial analysts are argued to have a responsibility towards investors and the market, in helping to keep the market efficient. Given that financial analysts act in a rational way we argue that analysts should strive to maximize forecast accuracy. The purpose of this study is to investigate how accurate financial analysts’ forecasts of Swedish firms’ future values are, and what information that analysts use that significantly affect the analysts’ forecast accuracy. To investigate this we first examine whether financial analysts contribute with value to investors by comparing their forecast precision against a simple time-series model. Our findings show that financial analysts produce significantly more accurate forecasts than a time-series model in the short term. Furthermore, given that rational analysts act in their own best interest while making accurate forecasts, we argue that analysts will incorporate and use the information that is available to them for the purpose of maximizing forecast accuracy. We investigate this by testing if the analysts’ forecast accuracy is affected by; the forecast horizon, the number of analysts following a firm, the firm size, the corporate visibility, the predictability of earnings, and trading volume. We find that the forecast accuracy is better when the amount of analysts following a firm is high, the firm size is larger, the forecasted company’s corporate visibility in the news is more frequent, and the predictability of earnings is higher. The trading volume does not have a significant effect on analysts’ forecast accuracy. To conclude, we question the value of financial analysts’ forecasts for longer forecast horizons.
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Lin, Yu-sheng, and 林于聖. "The Impact of Terminating Mandatory Financial Forecasts on Management Forecast Behavior." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/85159295004516658433.
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碩士國立臺北大學
會計學系
94
By the end of each year in the past, adjusting and lowering the financial forecast has become routine business for listed companies in Taiwan. This situation suggests that the financial forecasts are not useful to investors. Recently, Financial Supervisory Commission of Executive Yuan has decided to terminate the regulation of mandatory disclosure of financial forecasts. In the year of 2005, Financial Supervisory Commission made strict laws to prevent misleading predictions and let voluntary forecasts continue to exist. This study examines the effect of the interaction of internal and external corporate governance mechanisms on management forecasts that has been neglected by prior research. Moreover, we also analyze how the policy change affects the willingness and accuracy of management forecasts？ The results show that the existence of independent director is negatively associated with the willingness of disclosure, but debt ratios appear to be positively associated with it. Institutional ownership is positively associated with forecast errors, but the size of board of director shows negative relation; Board of directors’ ownership and institutional ownership shows negative relation with forecast frequencies. Further analysis shows that when board of directors’ ownership is higher, institutional ownership and the willingness of disclosure becomes positively correlated. Company having independent director and being audited by Big 4 audit firms prefer not to issue financial forecasts. When debt ratio is high, board of directors’ ownership affect the willingness of announcing forecast in positive way. Debt ratio and Big 4 audit firms increase the forecast accuracy when Board of directors’ ownership becomes higher. When debt ratio is high, the size of board of directors and independent director would lower the forecast frequencies. Lastly, almost every company would not announce their earnings forecasts voluntarily after the change of the regulation. In particular companies audited by Big 4 CPA firms have completely changed their mind from willing to disclose to avoid announcing earnings forecasts.
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Shih, Kun-Lin, and 石坤林. "Financial Reporting and Analysts' Forecasts." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/97654331337461236538.
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碩士中原大學
會計研究所
91
Abstract This study examines the relations between financial reporting and analysts’ forecasts. In examining the relations between financial reporting and analysts’ forecasts, this study uses the fundamental signals of financial statement from Lev and Thiagarajan(1993) and Abarbanell and Bushee(1997). This study also examines that financial statement information has lost its relevance in recent years. The study has four objectives. First, examining the significance of the fundamental signals of financial statement in explaining analysts’ forecasts. Second, the financial statement information for the firms with earning management have lost its relevance. Third, the financial statement information for the firms with high intangible assets have lost its relevance. Fourth, the financial statement information for the firms with negative earnings assets have lost its relevance. This study uses regression analysis to examine the relations between financial reporting and analysts’ forecasts. The empirical results are as follows: 1. Analysts’ forecasts have significance relations with some fundamental signals of financial statement. 2. The relations between financial reporting and analysts’ forecasts for higher earning management firms are better than that for lower earning management firms for samples in 2000. The relations between financial reporting and analysts’ forecasts for lower earning management firms are better than that for higher earning management firms for samples in 2001 and the full sample. 3. The relations between financial reporting and analysts’ forecasts for higher intangible assets firms are better than that for lower earning management firms. 4. The relations between financial reporting and analysts’ forecasts for the firms with negative earnings are better than the firms with positive earnings.
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Ying, Yang Shang, and 楊尚穎. "The Interaction of Management Earnings Forecasts and Financial Analysts'' Earnings Forecasts." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/95044392050364242164.
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碩士輔仁大學
金融研究所
90
The research focuses on two points: If financial analysts’ earnings forecast can be treat as market expect value; and after the management forecast, when the financial analysts’ earnings forecast revision direction is the same as management forecast, the abnormal return is bigger or not. Data consist of a sample of 353 companies of annual earnings per forecast for the period 2000 and 2001,the management and financial analysts earnings forecast comes from TEJ. The result is as follows: First, the financial analysts’ earnings forecast can be treated as market expect value, the middle value of financial analysts’ is better than average value. Second, only when management earnings forecast lower than market expect, and financial analysts’ earnings forecast revision upward, the abnormal return and the financial analysts’ revision has positive correlation.
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陳巧英. "CFO Education Background and Financial Forecasts." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/n9276r.
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Ying-Sheng, Wang, and 王殷盛. "The Market Efficiency of Financial Forecasts." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/81186683255558674680.
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碩士國立臺灣大學
會計學研究所
91
The objective of this thesis is to test the market efficiency of financial forecasts. Precedent researches on financial forecasts mostly focused on the study of information content, but their empirical results are inconsistent. Therefore, this research further exams whether the capital market is under-reaction to financial forecasts. The period of this research is from 01NOV1998 to 30APR2002, and the sample are listed company on Taiwan Stock Exchange. This research adopts earnings-to-price ratios and Ohlson model as evaluation models to observe the cumulative abnormal return in the holding period of zero net investment portfolios. The major empirical results are as follows: 1. The market is under-reaction to earnings-to-price ratios based on forecasted earnings per share. 2. The market is under-reaction to Ohlson model based on financial forecasts. 3. The market is under-reaction to the abnormal return based on financial forecasts In addition, this thesis has two additional findings: 1. The market is under-reaction to earnings-to-price ratios based on historical earnings per share. 2. The market is under-reaction to Ohlson model based on historic financial information.
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Chen, Jhih-hao, and 陳之浩. "Investor Sentiment and Voluntary Disclosures Financial Forecasts." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/97620808756121353240.
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碩士國立中央大學
企業管理學系
102
This study is based on Bergman &; Roychowdhury’s reserch and explore the relationship between investor sentiment and domestic firm’s voluntary financial forecasts. In 2005, Taiwan’s financial earnings forecast system changing form mandatory financial earnings forecast to voluntary financial earnings forecast. Until now, it has been almost ten years. In the past, the literature about voluntary financial forecasts almost discuss about investigating the factor which can affect company disclosing financial forecasts and accuracy of voluntary financial forecasts. In this study, we try to connect investor sentiment and voluntary financial forecasts, and then we investigate how investor sentiment affect companies’ willing to disclose their financial forecasts. Finally, we compare the analysts’ financial forecasts and try to find out why companies disclosing their financial forecasts. Our empirical results show that the lower the investor sentiment, the company’s willingness which issue their voluntary financial forecasts will be lower, both of which showed a significant positive correlation. And after compared with analysts’ forecasts, we can’t find any different between more optimistic and more pessimistic financial forecasts from companies. Finally, this study compared company's annual financial statements and voluntary financial forecasts and we found that the lower the investor sentiment, the company will be more willing to issue optimistic financial forecasts.
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YAO, HSIAO TENG, and 蕭燈耀. "A study on listed companies accuracy of financial forecasts and those factors that affecting the accuracy of financial forecasts." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/56855391299202268591.
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碩士國立臺北大學
企業管理學系
91
Abstract The research was Analysis a listed companies accuracy of financial forecasts, influence factor of accuracy of financial forecasts, and inquire into abnormal analysis, then to propound the suggestion。 The purpose of this paper to analyze a listed companies has been publicize its financial forecasts during 2000 to 2001, shall be used the variables of financial forecasts , included Forecast error(FE), Absolute forecast error(AFE), standardized forecast error(scaled down the forecast error by the total assets of the company)SFE1, (scaled down the forecast error by the operating revenue)SFE2, It is obvious that each FE on t-test had significantly different from zero, its high negative value, not perfectly, and generally overestimated an increase in pre-tax profit。 Added to this influence factor of accuracy of financial forecasts (included the factor of external environment, internal management, adjusted, supervised management regulation ) had been inquired opinion of the listed company and CPA, and investigated the reporter, user, reviewer, regulators of financial forecasts in the security market, shall be use the Factor Analysis and ANOVA Analysis to compared the above results whether the test have significantly different. Finding concluded by the study revealed that the primary factor of influence accuracy of financial forecasts, and propound relevant strategy to raise the accuracy of financial forecasts, there are considerable evidence to shows very important or effective. Key words: financial forecasts, accuracy of financial forecasts
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KUO, YUN-SHUANG, and 郭允雙. "Financial Forecasts of Listed Companies in Taiwan and Rating Forecast Competence of Security Firm." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/22692132369126284573.
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碩士東吳大學
國際經營與貿易學系
104
This study uses the predictive value of each broker to establish four integrated prediction models so as to predict the net income of TSMC(2330) and MediaTek (2454) in 2015, and takes three error analysis indicators (MAW, RMSE and ME) to examine each broker analyst and the four integrated predictive value as well as the “Unchanged” and “The Newest” prediction performances. Finally, this study proceeds in the exploration whether the different predictive values can make up the information gap of the “window period of the earnings report” so as to be provided for the public’s reference. As shown in the empirical results, the brokers’ predictions of the different companies are not completely stable, but influenced by the prediction frequency, brokerage nature and prediction point; the situations of consistent overvaluation/undervaluation have been presented. Therefore, the integrated prediction model can reduce the gaps of the prediction information of each of the brokers. Also, during the window period of the earnings report, the integrated prediction model can effectively predict the annual report of the listed company. Besides, “The Unchanged” has achieved good predictive performances of each year, yet was ineffective in the prediction during the window period of the earnings report. “The Newest” has been very accurate in the prediction of the years; however, for the prediction of the following year from the previous year, “The Newest” was not the best prediction method. As for the performances of the four integrated prediction model for different companies and different prediction period, there were no consistent performances, showing that the weighted integrated prediction model was not significantly better than the simple integrated prediction model. Keywords: Financial projections, Analysts’ predict, Integrated prediction model, Prediction performance rating, Accuracy
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Kunze, Frederik. "Decision-making, uncertainty and the predictability of financial markets: Essays on interest rates, crude oil prices and exchange rates." Doctoral thesis, 2018. http://hdl.handle.net/11858/00-1735-0000-002E-E3F5-5.
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Man-Wu, Chin, and 吳金滿. "Forecasts of Economic Growth from Financial Sector Development." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/20857739826179659241.
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Huang, Cheng-Tsu, and 黃承祖. "Informativeness of Financial Analyst Multi-Year Earnings Forecasts." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/40675041472144289915.
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博士國立臺灣大學
國際企業學研究所
100
We investigate the marginal information implications in analyst multi-year earnings forecasts given the current-year forecasts. In this paper, we explore the underlying reasons for analyst to give multi-year earnings forecasts, and examine the relationships between multi-year predictions and their corresponding values of analysts'' recommendations, future EPS estimates, and the rates of return when multi-year earnings forecasts are incorporated into corporate valuation models, respectively. We find that the frequencies analysts make multi-year forecasts depend on the extent of investors’ focus on the businesses. Moreover, common investors’ needs for professional judgments appear to drive analysts to report multi-year forecasts. We thereby partition our samples into two groups, the firms that analysts may feel obligated to provide multi-year forecasts for (hereafter the obligated group) and the firms that analysts can discretionarily choose whether or not to make multi-year forecasts. Analyst multi-year forecasts for the latter group of forecasts appear to be more informative. We make comparisons between analyst’s multi-year forecasts and the proxy estimates based on their current-year forecasts and one plug the growth estimate. We document that for the obligated group firms they provide their multi-year estimates closer to their proxy estimates and less informative given the current-year forecasts as compared with the other group analysts’. By establishing a proxy to measure permanent components, we extract temporary elements from one-year-ahead forecasts so as to clarify the roles analysts assign to these two forecasts. The permanent components exhibit marginal explanatory ability to the final recommendations. It turns out that two forecasts complement each other for different purposes. The long-windowed returns test findings show that multi-year forecasts make marginal contribution to business valuation, providing additional value-relevant information that helps forming long-term investment strategy.